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Optimal reinsurance: a reinsurer's perspective

Huang, Fei; Yu, Honglin

Description

In this paper, the optimal safety loading that the reinsurer should set in the reinsurance pricing is studied, which is novel in the literature. It is first assumed that the insurer will choose the form of the reinsurance contract by following the results derived in Cai et al. Different optimality criteria from the reinsurer’s perspective are then studied, such as maximising the expectation of the profit, maximising the utility of the profit and minimising the value-at-risk of the reinsurer’s...[Show more]

CollectionsANU Research Publications
Date published: 2018
Type: Journal article
URI: http://hdl.handle.net/1885/160546
Source: Annals of Actuarial Science
DOI: 10.1017/S1748499517000161
Access Rights: Open Access

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